Dynamical Properties and Characteriza- Tion of Gradient Drift Diffusion
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چکیده
We study the dynamical properties of the Brownian diffusions having σ Id as diffusion coefficient matrix and b = ∇U as drift vector. We characterize this class through the equality D + = D 2 −, where D+ (resp. D−) denotes the forward (resp. backward) stochastic derivative of Nelson’s type. Our proof is based on a remarkable identity for D + − D − and on the use of the martingale problem.
منابع مشابه
Dynamical properties and characterization of gradient drift diffusions
We study the dynamical properties of the Brownian diffusions having σ Id as diffusion coefficient matrix and b = ∇U as drift vector. We characterize this class through the equality D2 + = D 2 −, where D+ (resp. D−) denotes the forward (resp. backward) stochastic derivative of Nelson’s type. Our proof is based on a remarkable identity for D2 + −D2 − and on the use of the martingale problem. We a...
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تاریخ انتشار 2007